Volatility of volatility is (also) rough
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DOI: 10.1002/fut.21995
Abstract: Using high‐frequency data for major volatility indexes, we compute the volatility of volatility and show that its logarithm follows a fractional Brownian motion with Hurst parameter smaller than 1/2 thereby extending to the volatility asset… read more here.
Keywords: volatility volatility; volatility also; also rough; volatility ... See more keywords